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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO
Pricing Table: CBO/CDO/CLO
METRIC CBO/CDO/CLO CBO/CDO/CLO AAA NON-AAA IG NON-INVESTMENT GRADE
PRE-2022 2022-2025 PRE-2022 2022-2025 PRE-2022 2022-2025 PRE-2022 2022-2025
AVERAGE PRICE 97.4 96.7 99.2 99.6 99.5 98.8 99.2 80.4 98.7
Weighted Avg. Price 98.1 97.8 99.4 99.6 99.6 98.6 99.4 75.6 98.9
Avg. Price Bottom 5 Trades 40.7 40.7 97.3 98.9 98.8 96.3 97.3 40.7 97.8
2nd Quartile Price 98.6 98.6 98.9 99.5 99.2 98.3 98.3 57.0 98.1
3rd Quartile Price 99.5 99.5 99.5 99.7 99.7 99.1 99.7 95.0 98.7
4th Quartile Price 99.8 99.8 100.0 99.8 99.8 99.6 100.1 97.1 99.7
Avg. Price Top 5 Trades 100.4 100.3 100.4 99.9 100.0 100.3 100.4 98.3 99.8
Standard Deviation 9.1 10.7 0.9 0.3 0.4 1.1 1.1 23.2 0.9
VOLUME OF TRADES (000'S) 1,807,628.1 1,395,779.5 409,848.6 1,005,373.9 219,863.6 296,383.1 145,960.0 94,022.5 44,025.0
Customer Buy 770,363.7 596,486.2 171,877.4 409,550.0 83,637.4 139,428.5 68,240.0 47,507.8 20,000.0
Customer Sell 1,032,264.4 799,293.2 232,971.2 595,823.9 131,226.2 156,954.6 77,720.0 46,514.8 24,025.0
Dealer to Dealer * - * - * - - - -
<= $1MM 31,560.9 21,860.9 7,700.0 6,145.9 * 9,715.0 * 6,000.0 *
<= $10MM 989,437.0 688,538.3 300,898.6 313,847.7 116,413.6 286,668.1 142,460.0 88,022.5 42,025.0
> $10MM 786,630.3 685,380.3 101,250.0 685,380.3 101,250.0 - - - -
NUMBER OF TRADES 351 250 98 131 43 85 36 34 19
Customer Buy 163 119 41 61 17 40 15 18 9
Customer Sell 187 131 56 70 25 45 21 16 10
Dealer to Dealer * - * - * - - - -
<= $1MM 46 33 10 16 * 11 * 6 *
<= $10MM 263 181 82 79 33 74 32 28 17
> $10MM 42 36 6 36 6 - - - -

* Indicates trade count is less than 5
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

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